Téléchargez le livre : Yield Curve Modeling

Yield Curve Modeling

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Éditeur :

Palgrave Macmillan


Collection :

Finance and Capital Markets Series

Paru le : 2005-06-23

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252,14 €
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Description
This book will give the reader insight into how to model yield curves in our incomplete and imperfect financial markets. An extensive list of yield curve models are shown and discussed. Using actual market instruments, these models are then applied and the different yield curves are compared. It is assumed that the reader has a basic understanding of the financial instruments available in the market. Various issues that have to be taken into account in practice are discussed, like daycount conventions, business-day rules, the credit quality of the instrument and liquidity to name but a few. It is also shown how yield curves can be used to estimate credit spreads and country risk premiums. Creating a yield curve model has some implications in risk management. Specifically - the model, operational, liquidity and basis risks are discussed.
Pages
188 pages
Collection
Finance and Capital Markets Series
Parution
2005-06-23
Marque
Palgrave Macmillan
EAN papier
9781403947260
EAN PDF
9780230513747
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
18
Taille du fichier
1587 Ko
Prix
252,14 €

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